Uplifted spirits, earthbound machines : studies on artists and the dream of flight, 1900-1935

Doctoral dissertation, Academy of Fine Arts

Luonnonhaltijat ‒ haltijoita luonnonympäristössä? : Nature spirits : continuity and change : Conference of Belief Narrative Network of ISFNR, Zugdidi, Georgia 1.‒4.10.2014

Konferenssiraportti

Animal Spirits in Financial Markets: Agent-Based Model

In this work an agent based model (ABM) was proposed using the main idea from the Jabłonska-Capasso-Morale (JCM) model and maximized greediness concept. Using a multi-agents simulator, the power of the ABM was assessed by using the historical prices of silver metal dating from the 01.03.2000 to 01.03.2013. The model results, analysed in two different situations, with and without maximized greediness, have proven that the ABM is capable of explaining the silver price dynamics even in utmost events. The ABM without maximal greediness explained the prices with more irrationalities whereas the ABM with maximal greediness tracked the price movements with more rational decisions. In the comparison test, the model without maximal greediness stood as the best to capture the silver market dynamics. Therefore, the proposed ABM confirms the suggested reasons for financial crises or markets failure. It reveals that an economic or financial collapse may be stimulated by irrational and rational decisions, yet irrationalities may dominate the market.

From Fluid Dynamics to Human Psychology.What Drives Financial Markets Towards Extreme Events

For decades researchers have been trying to build models that would help understand price performance in financial markets and, therefore, to be able to forecast future prices. However, any econometric approaches have notoriously failed in predicting extreme events in markets. At the end of 20th century, market specialists started to admit that the reasons for economy meltdowns may originate as much in rational actions of traders as in human psychology. The latter forces have been described as trading biases, also known as animal spirits. This study aims at expressing in mathematical form some of the basic trading biases as well as the idea of market momentum and, therefore, reconstructing the dynamics of prices in financial markets. It is proposed through a novel family of models originating in population and fluid dynamics, applied to an electricity spot price time series. The main goal of this work is to investigate via numerical solutions how well theequations succeed in reproducing the real market time series properties, especially those that seemingly contradict standard assumptions of neoclassical economic theory, in particular the Efficient Market Hypothesis. The results show that the proposed model is able to generate price realizations that closely reproduce the behaviour and statistics of the original electricity spot price. That is achieved in all price levels, from small and medium-range variations to price spikes. The latter were generated from price dynamics and market momentum, without superimposing jump processes in the model. In the light of the presented results, it seems that the latest assumptions about human psychology and market momentum ruling market dynamics may be true. Therefore, other commodity markets should be analyzed with this model as well.

Influence of Pulsed-Electric Field Irradiation in Crystallization

The growing pharmaceutical interest, among others, in the polymorphic composition of the emerging solid end-products from production processes has been traced to the need for attainment of high product purity. This is more so as the presence of different polymorphs may constitute physical impurity of the product. Hence, the need for optimization of the yield of desired product component(s) through controlled crystallization kinetics for instance. This study was carried out to investigate the impact of pulsed electric field (PEF) irradiation on the crystal morphology of glycine obtained by cooling crystallization (without seeding) from commercial glycine sample in distilled deionized water solution. In doing so, three different pulse frequencies (294, 950 and 145 Hz) and a case without PEF were studied at three cooling rates (5, 10 and 20 ºC/h). The crystal products obtained were analyzed for polymorphic composition by powder x-ray diffraction (PXRD) and Fourier transform infrared (FTIR) spectroscopy while the particles characterization was done on Morphologi G3. The results obtained from this study showed that pulsed electric field irradiation had significant impact on metastability of the aqueous solution as well as on the polymorphic composition of the end product. With increasing PEF frequency applied, nucleation started earlier and the γ-glycine polymorph content of the product crystals increased. These were found to have been aided by cooling rate, as the most significant effect was observed at 5 ºC/h. It was also discovered that PEF application had no measurable impact on the pH of the aqueous solution as well as the size distribution of the particles. Cooling on the contrary was believed to be responsible for the broadening of the particle size distribution with a downward shift of the lower limit of the raw material from about 100 μm to between 10 and 50 μm.

Simulating the dynamics of silver market using computational market dynamics

Traditional econometric approaches in modeling the dynamics of equity and commodity markets, have, made great progress in the past decades. However, they assume rationality among the economic agents and and do not capture the dynamics that produce extreme events (black swans), due to deviation from the rationality assumption. The purpose of this study is to simulate the dynamics of silver markets by using the novel computational market dynamics approach. To this end, the daily data from the period of 1st March 2000 to 1st March 2013 of closing prices of spot silver prices has been simulated with the Jabłonska-Capasso-Morale(JCM) model. The Maximum Likelihood approach has been employed to calibrate the acquired data with JCM. Statistical analysis of the simulated series with respect to the actual one has been conducted to evaluate model performance. The model captures the animal spirits dynamics present in the data under evaluation well.

Kalman filter for computational market dynamics

Kalman filter is a recursive mathematical power tool that plays an increasingly vital role in innumerable fields of study. The filter has been put to service in a multitude of studies involving both time series modelling and financial time series modelling. Modelling time series data in Computational Market Dynamics (CMD) can be accomplished using the Jablonska-Capasso-Morale (JCM) model. Maximum likelihood approach has always been utilised to estimate the parameters of the JCM model. The purpose of this study is to discover if the Kalman filter can be effectively utilized in CMD. Ensemble Kalman filter (EnKF), with 50 ensemble members, applied to US sugar prices spanning the period of January, 1960 to February, 2012 was employed for this work. The real data and Kalman filter trajectories showed no significant discrepancies, hence indicating satisfactory performance of the technique. Since only US sugar prices were utilized, it would be interesting to discover the nature of results if other data sets are employed.

Mäntyöljyn tislauksen esikäsittely

Raakamäntyöljy on selluteollisuuden sivutuote. Suopa erotetaan mustalipeästä ja palstoitetaan tuottaen siten raakamäntyöljyä. Raakamäntyöljy tislataan tavanomaisesti viiteen pääjakeeseen: rasvahapot, hartsihapot, mäntyöljytisle, esiöljy ja mäntyöljypiki. Näiden jakeiden lisäksi raakamäntyöljyssä on erityisesti mustalipeästä siihen erottuneita epäpuhtauksia, jotka haittaavat raakamäntyöljyn prosessointia. Epäpuhtauksia ovat orgaaniset ja epäorgaaniset yhdisteet, kuten metallit, suolat ja ligniini. Nämä epäpuhtaudet aiheuttavat haitallisia reaktioita prosessissa huonontaen siten lopputuotejakeiden laatua. Tämän lisäksi epäpuhtaudet aiheuttavat saostumia prosessilaitteissa alentaen siten prosessointitehokkuutta. Raakamäntyöljyn esikäsittelyllä tehostetaan tislauksen toimintaa. Työssä esitetään esikäsittelymenetelmistä mm. degumming-menetelmä, laimea happopesu, hiilidioksidikäsittely, valkaisu ja lämpökäsittely. Menetelmien pohjalta valitaan tätä työtä varten yksi menetelmä, jonka pohjalta suunnitellaan kokeellisessa osassa suoritettavat kokeet. Kokeellinen osuus koostuu esikokeista, varsinaisista kokeista ja lisäkokeista. Menetelmän tarkoituksena on saavuttaa epäpuhtauksille 90–95 % reduktioaste. Kokeiden onnistumista tutkitaan analysoimalla alkuperäinen raakamäntyöljy, sekä jokaisen kokeen jälkeen erotetut faasit. Työssä saavutettiin hyvä erotustehokkuus. Alkuperäisen tavoitteen mukaista reduktioastetta ei pystytty määrittämään eri analyysimenetelmien ja niiden analyysituloksissa ilmenneiden eroavaisuuksien vuoksi, mutta lisäkokeiden ansiosta pystyttiin vahvistamaan kyseisen koejärjestelmän optimaalinen poistoaste. Lisäksi työssä havaittiin että esikäsittelytulos on hyvin riippuvainen käsiteltävän raaka-aineen koostumuksesta.